Centro de Documentación de Fundación MAPFRE - A Risk-based model for the valuation of pension insurance

Notes: Sumario: In the US, defined benefit plans are insured by the Pension Benefit Guaranry Corporation (PBGC). Taking account of the fact that the PBGC covers only the residual deficits of the pension fund the sponsoring company is unable ro cover and that the plans can be prematurely terminated, we considera model that accounts for the joint dynamics of the pension fund's and sponsoring firm 's assets in order to effectively determine the risk-based pension premium for the insurance provided by the PBGC. We obtain a closed form pricing formula for this risk-based premium. lts magnitude depends highly on the investment portfolio of the pension fund and of the sponsoring company as well as the co rrelation between these two portfolios. Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/11/2011 Tomo 49 Número 3 - 2011 , p. 401-409Materia / lugar / evento: Planes de pensiones Beneficios Prima de riesgo Matemática del seguro Modelos de valoración económica Estados Unidos Other categories: 6

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